Atmosphere has already been mentioned twice, Weir is a master of it. It must be very tough for a director to create an appropriate atmosphere throughout a film, but Weir just has a knack for it. Picnic at Hanging Rock is still the most atmospheric movie i've seen, and in my top 5 films of all time. Can't help but think Sofia Coppola was heavily influenced by Picnic when making The Virgin Suicides.
Weir also has a good knack of ending his films. A lot of good movies suffer from having poor endings, which seem to significantly affect their critical and popular ratings. Without describing any spoilers, I love the endings of Gallipoli, Master and Commander and Picnic. Gallipoli is "shocking" (I remember seeing it for the first time in class in Year 4; the whole class gasped in unison). Master and Commander is exciting, and Picnic is wonderfully haunting.
As i've indicated, Picnic gets my vote, but Master and Commander would be second, seeing as though it'd be in my top 15-20 all-time. It's got a great soundtrack too, one of my favourites. Picnic's use of George Zamfir's pan-pipes takes the cake as far as single songs go though.
I will always hold The Truman Show in high esteem. As a kid (up until late primary school...that's elementary school for the Yanks), I used to imagine myself in a Truman World, very very similar to in the movie. I now put it down to a natural part of ego development, and assume a lot of other kids were the same. Anyway, needless to say, when The Truman Show came out, I was instantly hooked with intrigue. It's definitely a good movie aside from that, but i'm probably bias in my judgement of it.